Analytics Scripts

S# implements an analytics scripts subsystem that allows you to perform arbitrary analysis of market data with result visualization. The classes are located in the StockSharp.Algo.Analytics namespace.

IAnalyticsScript — Main Interface

The IAnalyticsScript interface defines a single method:

Task Run(
    ILogReceiver logs,
    IAnalyticsPanel panel,
    SecurityId[] securities,
    DateTime from,
    DateTime to,
    IStorageRegistry storage,
    IMarketDataDrive drive,
    StorageFormats format,
    DataType dataType,
    CancellationToken cancellationToken);

Parameters:

logs — log receiver for outputting diagnostic messages.
panel — panel for displaying analysis results.
securities — array of instruments to analyze.
from / to — time range.
storage — market data storage registry.
drive — data source.
format — data storage format.
dataType — type of data to analyze.
cancellationToken — cancellation token.

IAnalyticsPanel — Results Panel

The IAnalyticsPanel interface provides methods for creating various visualizations:

CreateGrid(params string[] columns) — creates a table IAnalyticsGrid with the specified columns.
CreateChart<X, Y>() — creates a two-dimensional chart IAnalyticsChart.
CreateChart<X, Y, Z>() — creates a three-dimensional chart IAnalyticsChart.
DrawHeatmap(string[] xTitles, string[] yTitles, double[,] data) — draws a heatmap.
Draw3D(string[] xTitles, string[] yTitles, data, xTitle, yTitle, zTitle) — draws a 3D visualization.

IAnalyticsChart — Charts

The IAnalyticsChart interface provides a method for adding data series:

void Append(string title, IEnumerable<X> xValues, IEnumerable<Y> yValues,
    DrawStyles style, Color? color = null);

Available drawing styles (DrawStyles):

Line — line chart.
DashedLine — dashed line.
Histogram — histogram.
Bubble — bubble chart.

IAnalyticsGrid — Tables

The IAnalyticsGrid interface allows displaying tabular data:

SetSort(string column, bool ascending) — set sorting by column.
SetRow(params object[] values) — add a data row.

Built-in Scripts

The StockSharp.Algo.Analytics.CSharp package includes ready-made scripts:

IndicatorScript — calculates and visualizes indicators on a chart.
ChartDrawScript — demonstrates building various chart types.
PriceVolumeScript — analyzes volume distribution across price levels.

Example: Custom Analytics Script

Below is an example script that loads candles for a list of instruments and displays close prices on a line chart:

public class MyAnalyticsScript : IAnalyticsScript
{
    public async Task Run(ILogReceiver logs, IAnalyticsPanel panel,
        SecurityId[] securities, DateTime from, DateTime to,
        IStorageRegistry storage, IMarketDataDrive drive,
        StorageFormats format, DataType dataType,
        CancellationToken cancellationToken)
    {
        // create a two-dimensional chart
        var chart = panel.CreateChart<DateTime, decimal>();

        foreach (var secId in securities)
        {
            // get candle storage
            var candleStorage = storage.GetCandleMessageStorage(
                secId, dataType, drive, format);

            // load data for the period
            var candles = await candleStorage
                .LoadAsync(from, to)
                .WithCancellation(cancellationToken)
                .ToArrayAsync(cancellationToken);

            if (candles.Length == 0)
            {
                logs.AddWarningLog($"No data for {secId}");
                continue;
            }

            // add series to the chart
            chart.Append(secId.ToString(),
                candles.Select(c => c.OpenTime.UtcDateTime),
                candles.Select(c => c.ClosePrice),
                DrawStyles.Line);

            logs.AddInfoLog($"{secId}: loaded {candles.Length} candles");
        }
    }
}

Example: Volume Table

public class VolumeTableScript : IAnalyticsScript
{
    public async Task Run(ILogReceiver logs, IAnalyticsPanel panel,
        SecurityId[] securities, DateTime from, DateTime to,
        IStorageRegistry storage, IMarketDataDrive drive,
        StorageFormats format, DataType dataType,
        CancellationToken cancellationToken)
    {
        var grid = panel.CreateGrid("Instrument", "Total Candles",
            "Total Volume", "Average Volume");
        grid.SetSort("Total Volume", false);

        foreach (var secId in securities)
        {
            var candleStorage = storage.GetCandleMessageStorage(
                secId, dataType, drive, format);

            var candles = await candleStorage
                .LoadAsync(from, to)
                .WithCancellation(cancellationToken)
                .ToArrayAsync(cancellationToken);

            if (candles.Length == 0)
                continue;

            var totalVolume = candles.Sum(c => c.TotalVolume);
            var avgVolume = totalVolume / candles.Length;

            grid.SetRow(secId.ToString(), candles.Length,
                totalVolume, avgVolume);
        }
    }
}